We study model-driven statistical arbitrage strategies in U.S. equities. Trading signals are generated in two ways: using Principal Component.

30 июн. 2008 г. · We study model-driven statistical arbitrage strategies in U.S. equities. Trading signals are generated in two ways: using Principal Component ...

We study model-driven statistical arbitrage in US equities. Trading signals are generated in two ways: using Principal Component Analysis (PCA) or ...

4 янв. 2010 г. · We study model-driven statistical arbitrage in US equities. Trading signals are generated in two ways: using Principal Component Analysis ...

We study model-driven statistical arbitrage strategies in US equities. Trading signals are generated in two ways: using Principal Component Analysis and using ...

4 июл. 2024 г. · We study model-driven statistical arbitrage in US equities. Trading signals are generated in two ways: using Principal Component Analysis (PCA) or regressing ...

We study model-driven statistical arbitrage in US equities. Trading signals are generated in two ways: using Principal Component Analysis (PCA) or ...

We study model-driven statistical arbitrage in US equities. Trading signals are generated in two ways: using Principal Component Analysis (PCA) or ...

Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee. 18 stars 6 forks

ABSTRACT: In this paper, we propose a general framework of optimal investment and a collection of trading ideas, which combine probability and statistical ...